Mathematics in financial risk management (Q948616)

In this note the authors give an introduction to some of the mathematical aspects of financial risk management; the main area of application is credit risk. A brief introduction explains the mathematical issues arising in the risk management of a portfolio of loans. The paper continues with a formal overview of credit risk management models and discusses axiomatic approaches to risk measurement. They close with a section of dynamic credit risk models used in the pricing of credit derivatives. Mathematical techniques used stem from probability theory, statistics, convex and analysis and stochastic process theory.